Analyzing the interest rate risk of banks usingtime series of accounting-based data:evidence from Germany
Year of publication: |
2008-02-29
|
---|---|
Authors: | Entrop, Oliver ; Memmel, Christoph ; Wilkens, Marco ; Zeisler, Alexander |
Institutions: | Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe |
Subject: | Bankenaufsicht | Zinsänderungsrisiko |
- 1 Introduction
- 2 Hypotheses
- 3 Model
- 3.1 Denition of Interest Rate Risk
- 3.2 Introductory Example
- 3.3 General Framework
- 4 Empirical Analysis
- 4.1 Data
- 4.2 Model Specication
- 4.3 Model Evaluation
- 4.4 The Interest Rate Risk of German Banks
- 5 Conclusion
- A Specication of the Objective Function
- B Comparison of the Models' Accuracy
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